[This message was posted by glen guo of <[email protected]> to the "Fixed
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Hi John,
many thanks. it does help.
cheers,
Glen
> Glen,
>
> Let's take a hypothetical: you are trying to generate an ExecutionReport
> message for that money market instrument commonly called "commercial paper"
> ("CP"). CP is issued, most commonly, at a discount from its "face value,"
> i.e., its value at maturity; it bears no interest per se. Rather, the
> purchaser receives "interest" as the difference between the price he pays and
> the amount he receives at maturity (presuming he holds the instrument to
> maturity).
>
> CP thus described trades on a discount-rate basis; that is, the "price" is
> expressed as a discount rate. So you could appropriately use "423=4" to
> convey to your contra that the PriceType is a discount rate. But if you were
> also using the Instrument component block to convey descriptive information
> about this CP and particularly the CouponRate field (tag 223), you would set
> the value of that field to the numerical equivalent of zero percent (using
> however many decimal places you and your contra find agreeable). That is to
> say, CP is most commonly a "zero-coupon instrument" and trades on a
> "discount-rate" basis. Note that in addition to specifying the coupon and
> discount rate, you could also inform your contra of the "yield" of this
> instrument via the YieldData component block, which would be yet a third
> "interest rate." There are any number of ways of computing yield, as you
> will discover if you peruse the YieldData fields.
>
> So, there are many different "interest rates" that hold simultaneously for
> debt securities. In order to use FIX properly, you need to know whether you
> are trying to convey something inherent in the instrument as a contract
> between issuer and holder or about the price at which the instrument trades
> (separate from its contractual details) or else about the rate at which the
> instrument might be financed.
>
> I hope this helps.
>
> > > Glen,
> > >
> > > I would respectfully suggest that you clarify the requirement. The
> > > "coupon rate" does not make sense as a "price type." The coupon rate is
> > > a contractual feature of a debt security and an input into its price.
> > >
> > > Most likely you are looking for either (a) percentage of par value
> > > ("423=1"), (b) yield ("423=9"), or (c) discount rate ("423=4").
> > >
> > > Best,
> > > John
> > >
> > > > I am using FIX 5.0 sp2.
> > > >
> > > > In execution report, I need to show rate type as interest rate, coupon
> > > > rate or discount rate.
> > > >
> > > > for discount, it sounds simple.
> > > >
> > > > I can use tag 423 priceType= 4 for discount.
> > > >
> > > > but what shall I do for interest rate, coupon rate???
> > > >
> > > > I try tag65, SymbolSfx. In Spec, it is said
> > > > "CD - EUCP with lump-sum interest rather than discount price"
> > > >
> > > > not quite sure what it means.
> > > >
> > > > anyone can help on this?
> > > >
> > > > Many Thanks.
> > > >
> > > > Glen
> >
> > Hi John,
> >
> > Thanks for reply.
> >
> > The concept is from our legacy system for Money Market Deal.
> >
> > it got rate type as interest rate, coupon rate or discount rate.
> >
> > We need represent it with FIX.
> >
> >
> > probably the single tag 423 is not good enough.
> >
> > what I am thinking :
> >
> > 1.tag 423=4 for discount.
> >
> > 2. if tag 223,CouponRate with value, then rate type should coupon rate.
> >
> > 3. still looking for interest rate
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